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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Sugar #11(ICE) as of Dec 06, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 15 25 24 26 25 24 17 18 17 24
Exceeded High   19 13 22 17 18 22 21 14 14 14 18
Scenario Percentage   76% 87% 88% 71% 69% 88% 88% 82% 78% 82% 75%
Avg Max Increase   9.92% 14.51% 10.86% 10.02% 13.15% 13.81% 13.24% 13.08% 16.92% 18.80% 12.53%
Max Increase   25.74% 44.68% 37.06% 29.29% 46.30% 73.94% 49.43% 44.38% 81.05% 68.80% 33.17%
Avg Days To Max Increase   16 20 14 14 17 14 14 15 19 15 17
Avg Max Decline   -3.37% -2.02% -2.26% -2.13% -2.42% -2.89% -2.98% -2.60% -5.02% -3.23% -1.43%
Max Decline   -13.66% -4.61% -6.65% -6.47% -9.56% -12.58% -6.77% -8.48% -13.41% -10.07% -5.65%
Avg Days to Max Decline   9 11 10 6 7 7 9 10 10 5 2
2024 Contract Condition   Yes Yes Yes Yes     Yes   Yes    
Action   Yes Yes Yes Yes     Yes   Yes    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 29 19 21 19 20 20 28 27 28 21
Penetrated Low   16 19 13 13 13 17 16 21 23 22 17
Scenario Percentage   80% 66% 68% 62% 68% 85% 80% 75% 85% 79% 81%
Avg Max Decline   10.84% 10.89% 8.20% 7.24% 10.42% 12.18% 12.01% 18.38% 15.23% 12.32% 10.01%
Max Decline   28.57% 25.67% 21.05% 15.18% 22.89% 24.18% 25.21% 36.14% 33.52% 27.85% 21.58%
Avg Days To Max Decline   18 18 17 15 16 19 23 24 20 15 16
Avg Max Increase   -2.08% -3.31% -4.57% -3.66% -2.05% -3.89% -3.54% -3.34% -3.36% -2.94% -1.80%
Max Increase   -6.99% -9.38% -19.74% -9.93% -7.68% -18.49% -11.91% -10.94% -12.77% -11.70% -5.71%
Avg Days to Max Increase   7 15 9 11 3 9 8 8 9 7 3
2024 Contract Condition           Yes Yes   Yes   Yes Yes
Action           Yes No   Yes   Yes Not Yet
High 23.48 22.90 23.52 25.06 25.44 25.54 24.36 22.96 23.20 22.19 22.49 20.00
Low 20.59 21.06 21.62 22.86 23.49 24.06 19.68 20.11 21.36 20.41 18.97 17.95
Close/Last 21.10 22.17 22.85 24.30 24.62 24.24 20.41 22.77 21.53 22.15 19.41 18.30

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